{"id":"https://openalex.org/W4200154112","doi":"https://doi.org/10.1016/j.frl.2021.102644","title":"When Tether says \u201cJUMP!\u201d Bitcoin asks \u201cHow low?\u201d","display_name":"When Tether says \u201cJUMP!\u201d Bitcoin asks \u201cHow low?\u201d","publication_year":2021,"publication_date":"2021-12-21","ids":{"openalex":"https://openalex.org/W4200154112","doi":"https://doi.org/10.1016/j.frl.2021.102644"},"language":"en","primary_location":{"id":"doi:10.1016/j.frl.2021.102644","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.frl.2021.102644","pdf_url":null,"source":{"id":"https://openalex.org/S88577320","display_name":"Finance research letters","issn_l":"1544-6123","issn":["1544-6123","1544-6131"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance Research Letters","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1016/j.frl.2021.102644","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5011147343","display_name":"Klaus Grobys","orcid":"https://orcid.org/0000-0002-4121-3606"},"institutions":[{"id":"https://openalex.org/I79765343","display_name":"University of Vaasa","ror":"https://ror.org/03769b225","country_code":"FI","type":"education","lineage":["https://openalex.org/I79765343"]}],"countries":["FI"],"is_corresponding":false,"raw_author_name":"Klaus Grobys","raw_affiliation_strings":["School of Accounting and Finance, University of Vaasa, Wolffintie 34, 65200 Vaasa, Finland"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Accounting and Finance, University of Vaasa, Wolffintie 34, 65200 Vaasa, Finland","institution_ids":["https://openalex.org/I79765343"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5077810443","display_name":"Toan Luu Duc Huynh","orcid":"https://orcid.org/0000-0002-1486-127X"},"institutions":[{"id":"https://openalex.org/I4210099530","display_name":"IPAG Business School","ror":"https://ror.org/00w56r274","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210099530"]},{"id":"https://openalex.org/I181727666","display_name":"University of Economics Ho Chi Minh City","ror":"https://ror.org/010yce376","country_code":"VN","type":"education","lineage":["https://openalex.org/I181727666"]},{"id":"https://openalex.org/I84340266","display_name":"WHU \u2013 Otto Beisheim School of Management","ror":"https://ror.org/01yhahq71","country_code":"DE","type":"education","lineage":["https://openalex.org/I84340266"]}],"countries":["DE","FR","VN"],"is_corresponding":true,"raw_author_name":"Toan Luu Duc Huynh","raw_affiliation_strings":["IPAG Business School, 184, bd Saint-Germain, 75006, Paris, France","UEH Institute of Innovation (UII), University of Economics Ho Chi Minh City (UEH), 59C Nguyen Dinh Chieu Street, Ho Chi Minh City, Vietnam","WHU \u2013 Otto Beisheim School of Management, Burgplatz 2, D-56179 Vallendar Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"IPAG Business School, 184, bd Saint-Germain, 75006, Paris, France","institution_ids":["https://openalex.org/I4210099530"]},{"raw_affiliation_string":"UEH Institute of Innovation (UII), University of Economics Ho Chi Minh City (UEH), 59C Nguyen Dinh Chieu Street, Ho Chi Minh City, Vietnam","institution_ids":["https://openalex.org/I181727666"]},{"raw_affiliation_string":"WHU \u2013 Otto Beisheim School of Management, Burgplatz 2, D-56179 Vallendar Germany","institution_ids":["https://openalex.org/I84340266"]}]}],"institutions":[],"countries_distinct_count":4,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5077810443"],"corresponding_institution_ids":["https://openalex.org/I181727666","https://openalex.org/I4210099530","https://openalex.org/I84340266"],"apc_list":{"value":2930,"currency":"USD","value_usd":2930},"apc_paid":{"value":2930,"currency":"USD","value_usd":2930},"fwci":9.9534,"has_fulltext":true,"cited_by_count":45,"citation_normalized_percentile":{"value":0.98105883,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":100},"biblio":{"volume":"47","issue":null,"first_page":"102644","last_page":"102644"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9861999750137329,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.8075958490371704},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5916179418563843},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4698103070259094},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3273228108882904},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2109689712524414},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.18890395760536194}],"concepts":[{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.8075958490371704},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5916179418563843},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4698103070259094},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3273228108882904},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2109689712524414},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.18890395760536194},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.frl.2021.102644","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.frl.2021.102644","pdf_url":null,"source":{"id":"https://openalex.org/S88577320","display_name":"Finance research letters","issn_l":"1544-6123","issn":["1544-6123","1544-6131"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance Research Letters","raw_type":"journal-article"},{"id":"pmh:oai:osuva.uwasa.fi:10024/14961","is_oa":true,"landing_page_url":"https://osuva.uwasa.fi/handle/10024/14961","pdf_url":"https://osuva.uwasa.fi/bitstream/10024/14961/2/Osuva_Grobys_Huynh_2022.pdf","source":{"id":"https://openalex.org/S4306400974","display_name":"Osuva (University of Vaasa)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I79765343","host_organization_name":"University of Vaasa","host_organization_lineage":["https://openalex.org/I79765343"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"WOS:000813348600010","raw_type":"article"},{"id":"pmh:oai:RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005778","is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1544612321005778","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1016/j.frl.2021.102644","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.frl.2021.102644","pdf_url":null,"source":{"id":"https://openalex.org/S88577320","display_name":"Finance research letters","issn_l":"1544-6123","issn":["1544-6123","1544-6131"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance Research Letters","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320319003","display_name":"\u0110\u1ea1i h\u1ecdc Kinh t\u1ebf Th\u00e0nh ph\u1ed1 H\u1ed3 Ch\u00ed Minh","ror":"https://ror.org/010yce376"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W2079615115","https://openalex.org/W2136215272","https://openalex.org/W2144836007","https://openalex.org/W2484517558","https://openalex.org/W2523675164","https://openalex.org/W2526460638","https://openalex.org/W2785114503","https://openalex.org/W2804947882","https://openalex.org/W2883487552","https://openalex.org/W2930793690","https://openalex.org/W2945425436","https://openalex.org/W2982103765","https://openalex.org/W2999200390","https://openalex.org/W3096599943","https://openalex.org/W3096773305","https://openalex.org/W3100280058","https://openalex.org/W3109248125","https://openalex.org/W3122264531","https://openalex.org/W3124772058","https://openalex.org/W3125361290","https://openalex.org/W3126064560","https://openalex.org/W3175144234","https://openalex.org/W3179606364","https://openalex.org/W3200616364","https://openalex.org/W3206453139","https://openalex.org/W4213108670","https://openalex.org/W4235994837","https://openalex.org/W4249772157","https://openalex.org/W6628879057","https://openalex.org/W6680309860","https://openalex.org/W6721717608","https://openalex.org/W6793571228","https://openalex.org/W6817356473"],"related_works":["https://openalex.org/W2351666715","https://openalex.org/W2757332726","https://openalex.org/W1967543778","https://openalex.org/W2382902960","https://openalex.org/W2369384937","https://openalex.org/W2793265400","https://openalex.org/W2352146386","https://openalex.org/W2057933140","https://openalex.org/W2029333469","https://openalex.org/W2380412954"],"abstract_inverted_index":{"While":[0],"stablecoins":[1],"such":[2],"as":[3],"Tether":[4,46,61,112,120],"closely":[5],"track":[6],"the":[7,29,35,65,74,105,123],"peg,":[8],"there":[9],"is":[10,40],"some":[11],"evidence":[12],"for":[13,58,97,148],"recurring":[14],"spikes":[15],"in":[16,45,111,113,119,131,138],"stablecoins\u2019":[17],"intraday":[18],"volatilities":[19,22],"rendering":[20],"stablecoin":[21],"unstable":[23],"(Grobys":[24],"et":[25],"al.,":[26],"2021).":[27],"Using":[28],"Barndorff-Nielsen":[30],"and":[31,60,72,80],"Shephard":[32],"(2006a)":[33],"methodology,":[34],"purpose":[36],"of":[37,108],"our":[38],"study":[39],"to":[41,68,136],"examine":[42],"whether":[43],"jumps":[44,110],"have":[47],"an":[48,116],"impact":[49],"on":[50,89,122],"(subsequent)":[51],"Bitcoin":[52,59,132],"returns.":[53],"We":[54],"retrieve":[55],"hourly":[56],"data":[57],"from":[62,134],"Bitfinex":[63],"covering":[64],"November":[66],"2018":[67],"June":[69],"2021":[70],"period":[71],"encode":[73],"binary":[75],"choice":[76],"(1":[77],"\u2013":[78,82],"\u2018jump\u2019":[79],"0":[81],"\u2018no":[83],"jump\u2019)":[84],"using":[85],"bi-power":[86],"variation":[87],"based":[88],"asymptotic":[90],"distribution":[91],"theory":[92],"at":[93],"5%":[94],"significance":[95],"level":[96],"each":[98],"trading":[99],"day.":[100],"Our":[101,141],"results":[102,142],"show":[103],"that":[104],"joint":[106],"effect":[107],"positive":[109],"association":[114],"with":[115],"1%":[117],"increase":[118],"returns":[121],"prior":[124],"day":[125],"significantly":[126],"predict":[127],"negative":[128],"prices":[129],"changes":[130],"ranging":[133],"-3.65%":[135],"-8.49%":[137],"daily":[139],"terms.":[140],"remain":[143],"robust":[144],"even":[145],"after":[146],"controlling":[147],"various":[149],"other":[150],"variables.":[151]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":14},{"year":2023,"cited_by_count":16},{"year":2022,"cited_by_count":5}],"updated_date":"2026-05-04T08:30:34.212998","created_date":"2025-10-10T00:00:00"}
